Rotational Systems

[Stephen James]

Try here Rob

https://www.thechartist.com.au/Forum/weekend-trend-trader.html

[JulianCohen]

Basically Rob it is the following
A weekly Trend Following System

Index Filter 10 week MA
Stock must close above a new high of 20 weeks
ROC 20 weeks over 30%

Buy on Open
Trailing Stop Exit
Initial S/L set from Buy Bar
If Index Filter Red tighten trailing stop to 10% of most recent weeks trading
If Index Filter goes Green keep 10% trailing stop in place and move to 40% when the level reached.
20 positions 5%

Add assorted flavours to taste…there’s plenty to choose from ie: changing Initial S/L, changing Trailing Stop, changing price Filters, changing universe etc etc.

[RobGiles]

Brilliant! Thanks Julian. I can see I’m going to run out of capital before I run out of systems!

[LeeDanello]

Julian Cohen wrote:

Basically Rob it is the following
A weekly Trend Following System

Index Filter 10 week MA
Stock must close above a new high of 20 weeks
ROC 20 weeks over 30%

Buy on Open
Trailing Stop Exit
Initial S/L set from Buy Bar
If Index Filter Red tighten trailing stop to 10% of most recent weeks trading
If Index Filter goes Green keep 10% trailing stop in place and move to 40% when the level reached.
20 positions 5%

Add assorted flavours to taste…there’s plenty to choose from ie: changing Initial S/L, changing Trailing Stop, changing price Filters, changing universe etc etc.

It’s a pretty good system. I run it on a weekly basis and it does pretty well considering the chop that the ASX has been in over the last 10 years.

[Nick Radge]

Quote:

why do you continue to trade the ASX growth portfolio

Probably the main reason is that it has done me favours since the late 90’s and from a business perspective is a major part of my reputation.

It can be easy to poke holes in it when things are a little rough, as they have been in the past few years, but when the market starts kicking, like it is now, the Growth Portfolio shines.

In the last two years as an example the XAO has returned 3.5% and with divs 14.5%. The Growth Portfolio has returned 30.9% – and more impressive is that it has only been 50% invested for a lot of that time.

I actually have a signed contract with Trish that our retirement funds will only be applied to the Growth Portfolio.

[JulianCohen]

Rob Giles wrote:

Brilliant! Thanks Julian. I can see I’m going to run out of capital before I run out of systems!

I feel your pain

[Nick Radge]

A new article on momentum:

https://www.researchaffiliates.com/en_us/publications/articles/637-can-momentum-investing-be-saved.html?evar36=eml_Momentum_1017_Section_1_Momentum_CTA&_cldee=dHJhZGluZm9vbEBnbWFpbC5jb20%3D&recipientid=contact-7150e3b42459e411b063005056bc3cff-c8b6cf7135f54951bd6bff2845201599&esid=a5e89852-6fb3-e711-80d2-005056bc1247

[JulianCohen]

Looks like they are going both long and short…I couldn’t see anywhere it said if they are ever totally in cash but I could have missed that

[ScottMcNab]

Fig 3 makes me want to try a rotational momo that rotates stocks every quarter rather than monthly….hmm

[Nick Radge]

Larger drawdowns.

[ScottMcNab]

Yup…makes the win rate look good though ….profit factor up too ..in the end cagr not changed much….these rotational momo systems are pretty impressive in how robust they are…

in regards to that article above, maybe exiting the stock (in rotational system) with a loss of momentum rather than a significant drop in price is as important as the “momentum” factor itself

drops trades down to about 20-25 a year…might keep the ato happy in smsf

[RobGiles]

Interested to know what allocation people are giving the WTT system as a % of total investable funds, vs rotation systems.

[JulianCohen]

Mine is 10% of my total portfolio. I will be increasing that. My Rotational systems, I have a few, are also 10% each

[SaidBitar]

WTT is having based on yesterday’s close around 40%
Rotational around 12.5%

[RobGiles]

Thanks Julian & Said,
what is it about the WTT you like in order to give it a material amount of fund allocation, even though it has an element of selection bias? Performs better in markets you don’t trade rotational systems in I’m guessing?

[Author]

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